Exotic Options - Part 3


This eCourse consists of two modules. Module 1 will cover the basic features of average rate options (AROs). They are options whose payoff depends on average prices over a specified period (usually the life of the option). This module also describes the methods used to price an ARO and examines the sources of pricing sensitivity.

Module 2 outlines the appetite for the growth of 'exotic' options. Rather than attempting to describe an exhaustive list of structures (almost an impossible task due to the fecundity of investment bankers' imaginations), the module illustrates the non-standard ways in which an instrument can be developed. Some of the pricing and risk management issues are also examined.


On completion of this course, you will be able to:
- Identify the characteristics of average rate options
- Describe how average rate options are priced and valued
- Identify the sources of pricing sensitivity 
- Outline the key ways in which an option can differ from the 'vanilla' standard of European and American calls and puts
- Describe the most common forms of non-standard option
- Explain how the non-standard nature of the product affects the ease with which it can be priced and managed

Content Highlight

Module 1: Options - Average Rate Options
Topic 1: Average Rate Option Basics
Topic 2: Pricing Considerations for Average Rate Options 
Topic 3: Average Rate Option Sensitivities 

Module 2: Options - Exotic Options
Topic 1: Overview of Exotic Options 
Topic 2: Exotic Components 
Topic 3: Pricing Exotic Options

Administrative Details

SFC:2.50, PWMA:2.50
All Member: HKD775
Non-Member: HKD1,175
Staff of Corporate Member: HKD775